FORM 4 Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP OF SECURITIES Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934, Section 17(a) of the Public Utility Holding Company Act of 1935 or Section 30(h) of the Investment Company Act of 1940

OMB APPROVAL OMB Number: 3235-0287 Expires: January 31, 2005 Estimated average burden hours per response... 0.5

(Print or Type Responses)

1. Name and Address of Reporting Person * LAZAROWITZ ROBERT M   2. Issuer Name and Ticker or Trading Symbol KNIGHT CAPITAL GROUP, INC. [NITE] 5. Relationship of Reporting Person(s) to Issuer (Check all applicable) _____ Director _____ 10% Owner _____ Officer (give title below) __X__ Other (specify below) Former Director (Last) (First) (Middle) KNIGHT CAPITAL GROUP, INC., 545 WASHINGTON BOULEVARD 3. Date of Earliest Transaction (Month/Day/Year) 10/06/2009 (Street) JERSEY CITY, NJ 07310 4. If Amendment, Date Original Filed(Month/Day/Year) 6. Individual or Joint/Group Filing(Check Applicable Line) _X_ Form filed by One Reporting Person ___ Form filed by More than One Reporting Person (City) (State) (Zip) Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned

1.Title of Security (Instr. 3) 2. Transaction Date (Month/Day/Year) 2A. Deemed Execution Date, if any (Month/Day/Year) 3. Transaction Code (Instr. 8) 4. Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5) 5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4) 6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4) 7. Nature of Indirect Beneficial Ownership (Instr. 4) Code V Amount (A) or (D) Price Class A Common Stock 10/06/2009   M   16,000 A $ 16.43 17,878 D   Class A Common Stock 10/06/2009   M   8,000 A $ 6.135 25,878 D   Class A Common Stock 10/06/2009   M   7,000 A $ 4.565 32,878 D   Class A Common Stock 10/06/2009   M   15,000 A $ 6.06 47,878 D   Class A Common Stock 10/06/2009   S   46,000 D $ 21.37 (1) (2) 1,878 D   Class A Common Stock 10/07/2009   M   15,000 A $ 11.07 16,878 D   Class A Common Stock 10/07/2009   M   15,000 A $ 7.98 31,878 D   Class A Common Stock 10/07/2009   S   30,000 D $ 21.75 (2) (3) 1,878 D   Class A Common Stock (Previously Reported)               1,400 (4) I Family Class A Common Stock (Previously Reported)               81,206 I Family Trust Class A Common Stock (Previously Reported)               2,014,000 I LLC

Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
	Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB control number.		SEC 1474 (9-02)

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned
(e.g., puts, calls, warrants, options, convertible securities)

1. Title of Derivative Security (Instr. 3)

2. Conversion or Exercise Price of Derivative Security

3. Transaction Date (Month/Day/Year)

3A. Deemed Execution Date, if any (Month/Day/Year)

4. Transaction Code (Instr. 8)

5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4, and 5)

6. Date Exercisable and Expiration Date (Month/Day/Year)

7. Title and Amount of Underlying Securities (Instr. 3 and 4)

8. Price of Derivative Security (Instr. 5)

9. Number of Derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)

10. Ownership Form of Derivative Security: Direct (D) or Indirect (I) (Instr. 4)

11. Nature of Indirect Beneficial Ownership (Instr. 4)

Code

V

(A)

(D)

Date Exercisable

Expiration Date

Title

Amount or Number of Shares

Stock Option (Right to Buy)

$ 16.43

10/06/2009

M

16,000

05/17/2005

05/17/2011

Class A Common Stock

16,000

$ 16.43

90,000 (5)

D

Stock Option (Right to Buy)

$ 6.135

10/06/2009

M

8,000

05/23/2006

05/23/2012

Class A Common Stock

8,000

$ 6.135

82,000 (5)

D

Stock Option (Right to Buy)

$ 4.565

10/06/2009

M

7,000

07/26/2006

07/26/2012

Class A Common Stock

7,000

$ 4.565

75,000 (5)

D

Stock Option (Right to Buy)

$ 6.06

10/06/2009

M

15,000

05/15/2007

05/15/2013

Class A Common Stock

15,000

$ 6.06

60,000 (5)

D

Stock Option (Right to Buy)

$ 11.07

10/07/2009

M

15,000

05/13/2008

05/13/2014

Class A Common Stock

15,000

$ 11.07

45,000 (5)

D

Stock Option (Right to Buy)

$ 7.98

10/07/2009

M

15,000

05/12/2008

05/12/2015

Class A Common Stock

15,000

$ 7.98

30,000 (5)

D

Reporting Owners

Reporting Owner Name / Address	Relationships
	Director	10% Owner	Officer	Other
LAZAROWITZ ROBERT M KNIGHT CAPITAL GROUP, INC. 545 WASHINGTON BOULEVARD JERSEY CITY, NJ 07310				Former Director

Signatures

/s/ Robert M. Lazarowitz		10/08/2009
**Signature of Reporting Person		Date

Explanation of Responses:

*	If the form is filed by more than one reporting person, see Instruction 4(b)(v).
**	Intentional misstatements or omissions of facts constitute Federal Criminal Violations. See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
(1)	Represents the sale (after the exercise of options) of 46,000 shares in 30 separate transactions at prices ranging from $21.06 to $21.58 per share, resulting in a weighted average sale price per share of $21.37.
(2)	Reporting person undertakes to provide the SEC, the Issuer, or security holder full information pertaining to the number of shares sold at each separate price.
(3)	Represents the sale (after the exercise of options) of 30,000 shares in five separate transactions at prices ranging from $21.72 to $21.78 per share, resulting in a weighted average sale price per share of $21.75.
(4)	Represents shares previously held for the benefit of minors which are no longer attributable to the reporting person that will not be reported in future filings.
(5)	Aggregate amount represents previously granted stock option awards with different exercise prices, and exercisable and expiration dates.

Note: File three copies of this Form, one of which must be manually signed. If space is insufficient, see Instruction 6 for procedure.

Potential persons who are to respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB number.